• Media type: E-Book
  • Title: Price of Value and the Divergence Factor
  • Contributor: Cong, Lin William [Author]; George, Nathan [Other]; Wang, Guojun [Other]
  • Published: [S.l.]: SSRN, [2018]
  • Extent: 1 Online-Ressource (46 p)
  • Language: English
  • DOI: 10.2139/ssrn.2925577
  • Identifier:
  • Keywords: Asset Pricing ; Factor Models ; Mispricing ; RIM ; Value Premium
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 24, 2018 erstellt
  • Description: Price of Value, measured by the ratio of market price to accounting-based valuation, subsumes the power of book-to-market and to a large extent of various quality measures in predicting the cross-section of average returns. Price-of-value strategies generate significantly higher returns than traditional value and other anomaly strategies even after common factors adjustments, and provides natural hedge against momentum strategies. A four factor model using the Market, Small-Minus-Big, Momentum, and Price-Value Divergence Factor improves over alternative factor models
  • Access State: Open Access